We propose a general form of vector Multiplicative Error Model (MEM) for the dynamics of duration, volume and price … volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure … the market. But we highlight that it is unexpected component of trading duration or trading volume that carry the …

The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on … trades across different periods, which can have different effects on the volatility-volume relation. The results show that … for time-variation when modeling the relationship between volatility, trading volume and open interest for agricultural …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …